Economic growth, volatility, and cross-country spillovers: new evidence for the G7 countries

Nikolaos Antonakakis, Harald Badinger

Publication: Scientific journalJournal articlepeer-review

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Abstract

This study examines the linkages between output growth and output volatility in the G7 countries over the period 1958M2–2013M8. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012) we find that: i) output growth and volatility are highly intertwined; ii) spillovers have reached unprecedented levels during the global financial crisis; and iii) the US has been the largest transmitter of growth and volatility shocks. Generalized impulse response analyses suggest moderate growth spillovers and sizable volatility spillovers across countries. Cross-variable effects indicate that volatility shocks lead to lower growth, while growth shocks reduce output volatility.
Original languageEnglish
Pages (from-to)352 - 365
JournalEconomic Modelling
Volume52
Issue numberPartB
DOIs
Publication statusPublished - 2016

Austrian Classification of Fields of Science and Technology (ÖFOS)

  • 506004 European integration
  • 502025 Econometrics
  • 502047 Economic theory

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